MCMC理论及其在金融资产定价中的应用

【作者】 钱春沁；

【导师】 冯俊文；

【作者基本信息】 南京理工大学 ， 产业经济学， 2003， 硕士

【摘要】 金融资产定价模型多为数理表达式，模型中存在着各式各样的参数，金融理论的研究者们为了使模型对市场的检验描述更为准确，提出了众多的检验方法，来估计存在于模型中的参数。随着科技的进步，计算机技术为金融资产定价模型的更精确检验提供了技术条件。计算机技术、数学工具和金融理论的结合导致了金融工程的诞生。本文遵循金融工程的思想，利用马尔可夫链蒙特卡罗模拟对部分连续时间金融资产定价模型做了参数估计的必要步骤的论述。同时，利用深圳股票交易所的成份指数的数据对SV模型中的参数作了估计，尽管从图形上看，还是存在一定的误差，但估计的结果还是比较精确的。更多还原

【Abstract】 Most of the financial asset pricing models are mathematical expressions with various parameters , so in order to make it more accurate in market inspection the relevant scholars have put forward many methods to evaluate these parameters in the models. With the development of science and technology, the computer technique has provided the very condition for accurate inspections with financial asset pricing models. And the combination of computer technique, mathematical tools and the financial theories gave birth to the financial engineering. Based on the financial engineering theory and with the method of MCMC, this paper discussed the necessary steps in parameter evaluation of some continuous-time financial asset pricing models. In addition to this, the paper evaluated the parameters in SV models with the data of SSE. Though there were errors from the figures, the result of the evaluation was comparatively accurate.更多还原